Factorisation d'opérateurs aléatoires, d'après Benyamini et Gordon
Fast deterministic pricing of options on Lévy driven assets
Arbitrage-free prices of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the -scheme in time and a wavelet Galerkin method with degrees of freedom in log-price space. The dense matrix for can be replaced by a sparse matrix in the wavelet basis, and the linear...
Fast deterministic pricing of options on Lévy driven assets
Arbitrage-free prices u of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the θ-scheme in time and a wavelet Galerkin method with N degrees of freedom in log-price space. The dense matrix for can be replaced by a sparse matrix in the wavelet basis, and the...
Fast oscillating random perturbations of dynamical systems with conservation laws
Fermeture de et de
Filippov approach in stochastic maximum principle without differentiability assumptions.
Filtration des ponts browniens et équations différentielles stochastiques linéaires
Filtrations browniennes et balayage
Finely harmonic morphisms, Brownian path preserving functions and conformal martingales.
Finite dimensional determinants as characteristic functions of quadratic Wiener functionals.
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
Finite width for a random stationary interface.
First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process.
First order calculus and last entrance times
First order second moment analysis for stochastic interface problems based on low-rank approximation
In this paper, we propose a numerical method to solve stochastic elliptic interface problems with random interfaces. Shape calculus is first employed to derive the shape-Taylor expansion in the framework of the asymptotic perturbation approach. Given the mean field and the two-point correlation function of the random interface, we can thus quantify the mean field and the variance of the random solution in terms of certain orders of the perturbation amplitude by solving a deterministic elliptic interface...
FKG inequality for Brownian motion and stochastic differential equations.
Flot d'une équation différentielle stochastique
Flot d'une équation différentielle stochastique avec semimartingale directrice discontinue
Flots browniens isotropes sur la sphère
Flows for the stochastic Navier-Stokes equation.